Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0619 |
| Annualized Std Dev | 0.2222 |
| Annualized Sharpe (Rf=0%) | 0.2784 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5156.0000 |
| NAs | 1.0000 |
| Minimum | -0.1245 |
| Quartile 1 | -0.0058 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1232 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.2555 |
| Kurtosis | 7.6520 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0110 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.6280 |
| Historical VaR (95%) | -0.0218 |
| Historical ES (95%) | -0.0342 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0383 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-10 | 2009-03-09 | 2013-01-24 | -0.6280 | 1332 | 355 | 977 |
| 2000-09-05 | 2002-10-09 | 2006-04-19 | -0.5035 | 1387 | 500 | 887 |
| 2020-02-13 | 2020-03-23 | 2020-10-09 | -0.4020 | 167 | 27 | 140 |
| 2018-09-24 | 2018-12-24 | 2019-07-01 | -0.2449 | 193 | 64 | 129 |
| 2015-03-03 | 2016-01-20 | 2016-06-08 | -0.1654 | 321 | 224 | 97 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | 2.3 | 0.7 | -0.3 | 3.3 | -2.6 | -0.7 | 2.7 |
| 2001 | 0.3 | -0.5 | -0.3 | 0.1 | -0.1 | 0.8 | -0.6 | 1 | -2.1 | 3 | 0.4 | -0.6 | 1.4 |
| 2002 | -0.3 | 2.2 | -0.1 | 0.7 | 1.2 | -2.4 | -2 | -0.1 | 4.4 | 1.7 | 0.3 | 1.3 | 7 |
| 2003 | 0.8 | 0.3 | 0.3 | -0.8 | 2 | 0.1 | -0.3 | 0.3 | 2.6 | 0.3 | 1.3 | 0.2 | 7.1 |
| 2004 | -0.4 | 1 | 0.3 | -0.7 | 0 | -1.5 | 0.1 | 0.6 | 1.3 | 0.5 | 1.8 | -0.3 | 2.6 |
| 2005 | 0.5 | 0.5 | -0.7 | 0.9 | 0.7 | 0.3 | -0.1 | -0.3 | 0.5 | -0.1 | 1.3 | -0.6 | 2.8 |
| 2006 | 0.7 | 0.8 | 0.1 | 0.2 | 1.4 | -0.2 | -0.9 | 0.6 | -0.6 | -0.6 | -0.7 | -0.6 | 0.1 |
| 2007 | 1 | -0.1 | -0.2 | 0.3 | 0.2 | 0 | 0.5 | 1.2 | 1.7 | -1.9 | 0.6 | -0.7 | 2.7 |
| 2008 | 1.8 | -2.2 | 3.2 | 1.7 | 0.7 | 0 | -0.6 | -1.3 | -2.2 | 2.3 | -8.4 | 2.2 | -3.3 |
| 2009 | -2.6 | -2 | 1.8 | 1.1 | 4.5 | 0.8 | 0.6 | -1.9 | -2.6 | -2.9 | 1.5 | -1.3 | -3.3 |
| 2010 | 1.4 | 1.2 | 0.8 | -2.2 | -2.2 | -0.7 | 0.3 | 3.7 | 0.3 | 0 | 2.6 | 0 | 5.1 |
| 2011 | 1.6 | -2.1 | 0.8 | 0.3 | -3 | 1.8 | -0.7 | -1.6 | -3.1 | -3 | -0.3 | -0.3 | -9.3 |
| 2012 | 1.4 | 0.5 | 0.3 | 0.4 | -2.9 | 3.2 | -0.8 | 0.5 | 0.2 | 1.8 | -0.1 | 1.9 | 6.3 |
| 2013 | 1.1 | -0.3 | -1.2 | -1.4 | -0.9 | 1.1 | 1.9 | -0.7 | 0.8 | 0.6 | -0.4 | 0.4 | 1 |
| 2014 | -0.6 | 0.3 | 0.7 | -0.2 | 0 | 0.7 | 0 | 0.1 | -1.8 | 1.3 | -1.2 | -1.1 | -2 |
| 2015 | -1.5 | -0.4 | -0.7 | 1 | 0.2 | 0.5 | -0.1 | -2.9 | -0.1 | 0.1 | 0.4 | -0.7 | -4.1 |
| 2016 | -0.2 | 2.2 | 0.6 | -0.6 | 0.1 | 0.3 | -0.2 | 0.2 | 0.8 | -0.8 | 0.4 | -0.4 | 2.3 |
| 2017 | -0.2 | 1.6 | -0.3 | -0.1 | 0.8 | 0.7 | -0.2 | 0.1 | 0.2 | -0.2 | -1.1 | -0.3 | 1.1 |
| 2018 | -0.5 | -1.8 | 1.6 | -0.2 | 1.2 | 0.4 | -0.9 | 0.1 | 0.7 | 1.6 | 1 | 1 | 4.1 |
| 2019 | 0.3 | 0.5 | 1.9 | -1 | -1.2 | 0.6 | -1.5 | 0.3 | -2.1 | 1.8 | -0.5 | 0.2 | -0.9 |
| 2020 | -2.3 | -1.1 | -4.8 | -2.9 | 0.2 | -0.3 | -0.2 | 1 | -0.2 | -0.5 | 0.3 | 0.5 | -9.8 |
| 2021 | 1.6 | 2.8 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-07-14 30.4 SPY 151. 0.0098 0.0213 0.023 0.0485 0.0665 NA NA <NA> NA NA NA
2 2000-07-19 30.2 SPY 149. -0.0072 -0.00290 0.0015 0.0292 0.0788 NA NA <NA> NA NA NA
3 2000-07-20 31.0 SPY 151. 0.013 0.0056 0.0182 0.0524 0.107 NA NA <NA> NA NA NA
4 2000-07-28 28.4 SPY 142. -0.0226 -0.0379 -0.0238 -0.0207 0.0704 NA NA <NA> NA NA NA
5 2000-08-01 29.1 SPY 144. 0.0068 -0.0233 -0.0097 -0.0017 0.0864 NA NA <NA> NA NA NA
6 2000-08-02 29.1 SPY 145. 0.005 -0.0088 -0.0182 0.021 0.107 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
